I saw the screenshots you attached. Sorry but there is no option in Theme Settings to display the categories and sidebar filters same as the mobile menu as you mentioned.
You can set them to display as dropdowns from the widget settings.
First of all thank you very much, I am very pleased with the theme system
I’m aware that this is not part of the purchase,
But the menu is not so obvious,
If there is any way maybe by border to separate categories
Or anything that can make the menu clearer?
Sorry but there is no option in Theme Settings to add borders to the categories in the sidebar. And this is the default functionality. Please provide a relevant screenshot of the specific area where you want to add the borders with the URL of the page to check it myself and help you out accordingly.